This paper selects the data of FDI and export trade in the Pearl River Delta from 2000 to 2018 to build a VAR model. The Granger test, impulse response and variance decomposition model are used to study the long-term and short-term relationship between FDI and export trade. The results of the study indicate that there is a stable and balanced relationship between the export trade and FDI in the Pearl River Delta. Export trade has little effect on the change of FDI, but the change of FDI has a significant impact on export trade. In the short term, the change of FDI is conducive to the substantial increase of export volume, but in the long term, it will have a substitution effect. Enterprises in the Pearl River Delta should not only make rational use of the short-term positive role of FDI in promoting the export trade of the Pearl River Delta, improve the quantity and quality of FDI, but also not form excessive dependence on FDI, fully absorb spillover technology, optimize the structure of foreign trade and economic cooperation, and promote the stable development of export trade in the Pearl River Delta.